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Stock Picks and Trading · IT IS CRITICAL!!
Kevin_in_GA
msg #124565
7/31/2015 9:04:40 AM

Well, shorting TVIX is not a trading system built on SPY - what you are describing is using SPY signals to trade other (and highly leveraged) ETFs. That I have not looked at.

Stock Picks and Trading · IT IS CRITICAL!!
Kevin_in_GA
msg #124562
7/30/2015 8:13:50 PM

Others may think this is achievable, but I am convinced that it is not.

I have personally run over 2 million different brute force combinations of indicators on SPY and no result ever even got close to that annual return level. I do not believe that any combination, including combinations of long and short trades, can meet that goal over any reasonable time frame (say the last 10 years).

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #124557
7/29/2015 10:12:35 PM

Toad - no personal criticism intended. In the time I have been here at SF I have gone through multiple iterations of this basic idea (you can see them throughout this thread as evidence of that). I have gotten this idea as basic and simple to execute as possible, and tailored it for 401k investment vehicles.

My comment I think is valid - your back-testing is not based on the past three monthly bars, but rather the past 63 daily bars which is a different system and will generate different results depending on when you choose to make the trade. There is actually NO variability in the 3 monthly bar look back since monthly bars are the only data being used. The trade is made (or not) upon analyzing the last completed bar, which only happens at the end of each month. It simply is what it is and looking at different intra-month dates for trading is actually a different system than what I have put forth here.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #124552
7/29/2015 10:39:10 AM

Again, you are likely to be overfitting for historical performance gains. Would you take a system based on daily bars and look at every hour to see if you could do a little better, or would you develop it based on hourly bars? The system is based on monthly data, not daily data.

Systems are built on completed bars - you can try weekly or daily with this approach (I have already done this) to see if it might better suit your needs. If your objective is highest gain with lowest drawdown you'll probably end up where the system currently resides.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #124543
7/27/2015 7:30:04 PM

Guys:

Please stop trying to "optimize" this. You're trying to turn this into a trading system (which it isn't). This is designed for 401k accounts where you are often limited to asset class funds rather than stocks, and not allowed to trade too frequently.

This system is where I want it to be. One variable is all that it is based on, and yet somehow people want to keep adding entry/exit criteria in the hopes of squeezing out more profit. It is based on monthly bars, not mid-month trading dates. It is based on simple performance over time, not any RSI value. The truth is that you are most likely overfitting the system and making it LESS likely to work as well in the future. I won't write any more code on this because no more code is needed.

Kevin

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #124500
7/23/2015 10:07:53 PM

Mahkoh - basically you are correct, but it really has to do with avoiding large drawdowns. The system may not beat SPY every year, but it seems to beat it over a longer timeframe, which is why this is an INVESTMENT strategy rather than a trading strategy.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #124485
7/22/2015 9:49:09 PM

Toad: not really sure how you are backtesting this - I simply use the end of each month and make a re-allocation at the open of the next trading day. Here are the StrataSearch backtest results for the same period as you have backtested:

EQUITY CURVE:

 photo 401k backtest_zpss0ilwb1s.gif

STATS:

 photo 401k results.jpg_zpsgw94ml9w.gif

The more simplistic SPY-AGG system gives basically the same results:

EQUITY CURVE:

 photo SPY - AGG backtest_zpsreekit83.gif

STATS:

 photo SPY-AGG stats_zpslmhhrwqi.gif

This is consistent with what I have been seeing - it beats the market with lower drawdown and consequently a higher Sharpe ratio. Trade it or not as you see fit.

Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
Kevin_in_GA
msg #124405
7/18/2015 9:13:47 AM

Wrote the following in response to your post for Iron Condor. Thought you would be able to respond if this is posted here where you are more regularly visiting:

I saw it in the other forum. Please try to avoid cross-posting these types of requests into other threads.


Have been using Iron Condors in paper trades. Wondering why we look for delta 0.1 or below and not 0.2 or below with expiry say 3-4 weeks instead of 2 weeks. We can book profits at around 50% and sell more IC (closing earlier ones though).

Also, did you ever consider Implied Volatility in IC trades. These days IV for more indices is very low so can't have big strike ranges and make less money in premiums too.

Need also your thoughts on why QQQ and USO excluded. Both have comparatively higher IV historically (even these days have better IV than SPY, GLD and IWM). Would you recommend some stocks like AAPL to be included.

Your thoughts on the above would be helpful.


The simple answer is that is not how I chose to develop and trade the system. The suggestions you made here are fine to try but they were not what I chose to do - Pangolin IC was my attempt at finding a relatively simple option trade strategy that had a high chance of profitable trades, but the truth is that one weird move (like GOOG yesterday) will wipe out several months of slow and steady equity growth. Ultimately this was not where I wanted to be as a trader but I know it suits others just fine.

Why not start a new thread and post your trades? Solicit feedback to get better at what you are trying to do from members here. That's basically what I did, and I learned that other approaches suit my style and temperament better.

Kevin


Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
Kevin_in_GA
msg #124387
7/15/2015 11:14:05 AM

I posted this a while back.

6/3/2011 3:09:04 PM

Kevin
I have been working with Stratasearch for the past week or so after reading one of your post referencing it. Appears to be a powerful program ! I am still in the learning phase.

How would you trade your SF code above? Exit ?
++++++++

The Zscore function I had to write as a custom function (not hard, as the SS coding language is not too complex). You can find it here:

http://www.stratasearch.com/forum/viewtopic.php?f=3&t=950&p=4243#p4243

The entry code is:

Zscore(16) < -2 and

close > mov(close,200,simple) and

wlr(16) < -94 and

close < bbl(close,16,2)

Exit code:

Zscore(16) > -1 or

$daysheld > 20

Kevin


General Discussion · Pivot points
Kevin_in_GA
msg #124385
7/14/2015 5:21:37 PM

You can use R1, R2, S1, S2 etc by just typing them in, but you cannot get anything other than daily or weekly.

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